10.4225/03/59378cd6b0be7
Benson, Karen
Karen
Benson
Pope, Peter
Peter
Pope
Faff, Robert
Robert
Faff
The Relevance of Investor Risk Classes in Ranking Fund Performance: An Application of the Extended Mean-Gini CAPM
Monash University
2017
monash:6845
1959.1/35609
2001
2017-06-07 05:19:17
Journal contribution
https://bridges.monash.edu/articles/journal_contribution/The_Relevance_of_Investor_Risk_Classes_in_Ranking_Fund_Performance_An_Application_of_the_Extended_Mean-Gini_CAPM/5085184
The primary focus of this paper is to investigate whether the introduction of investor risk classes to the fund performance model affects relative performance rankings. In other words, are investor risk classes relevant? This analysis is conducted in an Extended Mean Gini (EMG) CAPM framework. Our results support the conclusion that investor risk class is not relevant to the performance ranking of a fund. Thus, it would seem that fund managers are not developing portfolios which are suited to a particular class of risk averse investors. Furthermore, based on our results equity fund managers are unable to outperform the market portfolio. Finally, we find no relationship between performance and perceived level of activity - thus suggesting the irrelevance of perceived management style.